Value-at-Risk: Theory and Practice

Index

A

Actual days, 277
Air Products and Chemicals (loss by), 19
Aluminum, 260-262
Approximation
derivative, 61
finite difference, 86-87
gradient, 61-63, 330-332
gradient-Hessian, 61-63
remapping as, 48, 55, 275
tangent-line, 88
useful techniques, 55
AR process, 183
ARCH process, 187
ARMA process, 183
Asset, 42
Asset value, 42, 285-286
Asset vector, 41-42, 285
Autocorrelation, 177
nonsynchronous data, and, 234-236
Autoregressive conditional heteroskedastic (ARCH) process, 187
Autoregressive moving-average (ARMA) process, 183-184
Autoregressive (AR) process, 183

B

Backtesting, 5
Barings PLC (loss by), 19
Base currency, 23, 25
assets, and, 42
Basle Committee on Banking Supervision, 14n
Bayesian statistics, 165
BBA, 232
Bias
bid-ask spread, due to, 239
convexity, 240
data, 239-241
estimator, 167-168
pseudorandom number generators, 201
taxes, and, 241
Bid-ask spread, 239
Birthday test, 207
Bounded random variable, 112
Bridgman, Percy, 4
British Bankers Association (BBA), 232
Broyden's method, 91
Buffon's needle, 195
Business risk, 22

C

Calendar days, 277
Calendar days function, 277
Cap, interest rate, 321-323
Capital-at-risk, 17
Carnap, Rudolf, 4
Cartesian product, 58
Cash valuation, 279-281
CCC-GARCH process, 188-189
CDF, 108
Central limit theorem, 153-155
Change-of-variables formula, 94-96
Change-of-variables remapping, 341-348
Characteristic function, 157
Chi-squared distribution, 136-137
Cholesky algorithm, 75-76
CIF settlement, 239
CITIC (loss by), 19
Classical statistics, 165
Closing prices, 231
Cocoa options, 338-340
Codelco Copper Corporation (loss by), 19
Complete
inference procedure, 45
transformation procedure, 46
VaR measure, 47
Complex numbers, 68-70
addition, 69
division, 69
functions, 70
multiplication, 69
operations, 69-70
subtraction, 69
Complex random variable, 156
Composition, function, 59
Conditional heteroskedasticity, 179,...

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